Keshab Shrestha : Citation Profile


Are you Keshab Shrestha?

Monash University

10

H index

12

i10 index

398

Citations

RESEARCH PRODUCTION:

41

Articles

RESEARCH ACTIVITY:

   35 years (1986 - 2021). See details.
   Cites by year: 11
   Journals where Keshab Shrestha has often published
   Relations with other researchers
   Recent citing documents: 91.    Total self citations: 8 (1.97 %)

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   Permalink: http://citec.repec.org/psh1174
   Updated: 2022-06-22    RAS profile: 2021-11-08    
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Relations with other researchers


Works with:

Subramaniam, Ravichandran (3)

Peranginangin, Yessy (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Keshab Shrestha.

Is cited by:

McAleer, Michael (9)

GUPTA, RANGAN (8)

Chang, Chia-Lin (8)

Tansuchat, Roengchai (8)

Parisi, Laura (7)

Lee, Cheng Few (6)

Siklos, Pierre (6)

Holmes, Mark (6)

Alexander, Carol (6)

Giudici, Paolo (5)

Hou, Yang (5)

Cites to:

Granger, Clive (13)

Lee, Cheng Few (12)

Engle, Robert (10)

cotter, john (8)

Ritter, Jay (8)

Shleifer, Andrei (7)

Weisbach, Michael (6)

Gonzalo, Jesus (6)

Serletis, Apostolos (6)

Torro, Hipolit (6)

Pesaran, M (5)

Main data


Where Keshab Shrestha has published?


Journals with more than one article published# docs
Journal of Futures Markets8
Review of Quantitative Finance and Accounting6
Economics Letters3
Energy Economics3
Journal of Financial Research2
The Quarterly Review of Economics and Finance2
Journal of Banking & Finance2
Journal of Business Finance & Accounting2

Recent works citing Keshab Shrestha (2021 and 2020)


YearTitle of citing document
2021.

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2020Large-Maturity Smiles for an Affine Jump-Diffusion Model. (2020). Lin, Junfeng ; Ling, Zhichao ; Yao, Nian. In: Papers. RePEc:arx:papers:2003.00334.

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2022Price formation in financial markets: a game-theoretic perspective. (2022). Evangelista, David ; Thamsten, Yuri ; Saporito, Yuri. In: Papers. RePEc:arx:papers:2202.11416.

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2020Corporate governance and institutions—A review and research agenda. (2020). Dedoulis, Emmanouil ; Zattoni, Alessandro ; van Ees, Hans ; Leventis, Stergios. In: Corporate Governance: An International Review. RePEc:bla:corgov:v:28:y:2020:i:6:p:465-487.

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2020Accounting conservatism and the profitability of corporate insiders. (2020). Garcia Osma, Beatriz ; Khalilov, Akram. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:47:y:2020:i:3-4:p:333-364.

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2021Asymmetric information consolidation and price discovery: Inferring bad news from insider sales. (2021). Prakash, Rachna ; Pownall, Grace ; Karamanou, Irene. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:48:y:2021:i:1-2:p:230-268.

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2021The role of expertise in syndicate formation. (2021). Bourjade, Sylvain. In: Journal of Economics & Management Strategy. RePEc:bla:jemstr:v:30:y:2021:i:4:p:844-870.

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2020Worldwide short selling regulations and IPO underpricing. (2020). Zutter, Chad J ; Smart, Scott B ; Boulton, Thomas J. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300407.

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2021Stakeholders and the stock price crash risk: What matters in corporate social performance?. (2021). Dumitrescu, Ariadna ; Zakriya, Mohammed. In: Journal of Corporate Finance. RePEc:eee:corfin:v:67:y:2021:i:c:s0929119920303151.

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2021Board reforms and debt choice. (2021). Sassi, Syrine ; Boubaker, Sabri ; Ben-Nasr, Hamdi. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001309.

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2020Determining the information share of liquidity and order flows in extreme price movements. (2020). Long, Yunshen ; Liu, Chang ; Wu, Liang. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:559-575.

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2021Consistent pricing of VIX options with the Hawkes jump-diffusion model. (2021). Ma, Yong ; Li, Shenghong ; Jing, BO. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302114.

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2021Hedging futures performance with denoising and noise-assisted strategies. (2021). Yao, Yinhong ; Su, Kuangxi ; Zheng, Chengli. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000899.

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2020London vs. Leipzig: Price discovery of carbon futures during Phase III of the ETS. (2020). Wellenreuther, Claudia ; Stefan, Martin. In: Economics Letters. RePEc:eee:ecolet:v:188:y:2020:i:c:s016517652030029x.

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2022Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). ZIMMERMANN, Paul ; Raimbourg, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:351-367.

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2020Information shares in a two-tier FX market. (2020). Schreiber, Ben Z ; Piccotti, Louis R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:19-35.

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2021Trading activity and price discovery in Bitcoin futures markets. (2021). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:107-120.

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2021The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. (2021). Uddin, Gazi ; Makkonen, Adam ; Cardia, Michel Ferreira ; Rahman, Md Lutfur ; Vallstrom, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002802.

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2020Mild explosivity in recent crude oil prices. (2020). Paraskevopoulos, Ioannis ; McCrorie, Roderick J ; Figuerola-Ferretti, Isabel. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988319301471.

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2020Optimal hedging under biased energy futures markets. (2020). Torro, Hipolit ; Furio, Dolores. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s014098832030089x.

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2020Moments-based spillovers across gold and oil markets. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Bonato, Matteo ; Wang, Shixuan ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390.

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2020Can expanding natural gas infrastructure mitigate CO2 emissions? Analysis of heterogeneous and mediation effects for China. (2020). Ren, Xiaohang ; Dong, Xiucheng. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301705.

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2021OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013.

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2022The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021526.

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2020Price discovery and microstructure in ether spot and derivative markets. (2020). Choi, Jaehyuk ; Alexander, Carol ; Sohn, Sungbin. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301502.

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2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040.

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2020What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131.

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2021Stock returns, quantile autocorrelation, and volatility forecasting. (2021). Cai, Yuzhi ; Upreti, Vineet ; Zhao, Yixiu. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302428.

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2021Modifier effects of country-level transparency on global underpricing difference: New hierarchical evidence. (2021). Ahmed, Abdullahi D ; Jamaani, Fouad. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000107.

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2021Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?. (2021). Ma, Feng ; Wang, LU ; Gao, Xinxin ; Hao, Jianyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921000983.

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2020In law we trust: Lawyer CEOs and stock liquidity. (2020). Pham, Mia Hang. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s1386418120300173.

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2020Price discovery in Bitcoin: The impact of unregulated markets. (2020). Heck, Daniel F ; Alexander, Carol. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300759.

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2021Cross-commodity hedging for illiquid futures: Evidence from Chinas base metal futures market. (2021). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028321000508.

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2021A new unique information share measure with applications on cross-listed Chinese banks. (2021). Shi, Yanlin ; Li, Hong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621000996.

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2021Does a reduction of state control affect IPO underpricing? Evidence from the Chinese A-share market. (2021). Mu, Shaolong ; Hoque, Hafiz. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:115:y:2021:i:c:s0261560621000334.

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2020Price discovery in agricultural commodity markets: Do speculators contribute?. (2020). Wellenreuther, Claudia ; Stefan, Martin ; Siklos, Pierre L ; Bohl, Martin T. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:18:y:2020:i:c:s2405851318300941.

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2021Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Shafiullah, Muhammad ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420721000192.

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2021Time-varying causality inference of different nickel markets based on the convergent cross mapping method. (2021). Wu, Tao ; Liu, Siyao ; An, Sufang ; Gao, Xiangyun ; Fang, Wei ; Sun, Xiaotian. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003949.

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2021Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility?. (2021). Umar, Muhammad ; Liang, Chao ; Chen, Zhonglu. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004001.

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2020Corporate governance mechanisms with conventional bonds and Sukuk’ yield spreads. (2020). Ali, Norli ; Haniff, Mohd Nizal ; Saad, Noriza Mohd. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x17301336.

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2020Strategic participation in IPOs by affiliated mutual funds: Thai evidence. (2020). Sthienchoak, Jananya ; Saengchote, Kanis. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302390.

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2020Whose trades move stock prices? Evidence from the Taiwan Stock Exchange. (2020). Lin, Zong-Wei ; Hung, Pi-Hsia ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:25-50.

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2020Tunneling through allies: Affiliated shareholders, insider trading, and monitoring failure. (2020). Liu, Jun ; Cheng, Minying ; Zhang, Longwen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:323-345.

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2020The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market. (2020). Lee, Chingnun ; Chang, Kuang-Liang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:374-388.

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2021Does local corruption affect IPO underpricing? Evidence from China. (2021). Song, DI ; Wang, Xin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:127-138.

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2020Price discovery in bitcoin futures. (2020). Fassas, Athanasios ; Koulis, Alexandros ; Papadamou, Stephanos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919305628.

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2022The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets. (2022). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001318.

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2020Handling financial risks in crude oil imports: Taking into account crude oil prices as well as country and transportation risks. (2020). Wang, Shuang ; Gu, Yewen ; Lu, Jing ; Wallace, Stein W. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:133:y:2020:i:c:s1366554519311883.

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2020Quantile hedge ratio for forward freight market. (2020). Chen, Zhenxi ; Gu, Yimiao ; Luo, Meifeng ; Lien, Donald. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:138:y:2020:i:c:s1366554519310099.

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2021Forecasting Commodity Prices: Looking for a Benchmark. (2021). Rubaszek, Micha ; Kwas, Marek. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:2:p:27-459:d:577877.

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2022.

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2021Hedging Effectiveness of Commodity Futures Contracts to Minimize Price Risk: Empirical Evidence from the Italian Field Crop Sector. (2021). Trestini, Samuele ; Giampietri, Elisa ; Penone, Carlotta. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:12:p:213-:d:692417.

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2021Analysis of lead-lag relationship and volatility spillover: evidence from Indian agriculture commodity markets. (2021). Singh, Gurmeet ; Lanka, Abhiram Kartik ; Shaik, Muneer. In: International Journal of Bonds and Derivatives. RePEc:ids:ijbder:v:4:y:2021:i:3:p:258-279.

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2020Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate. (2020). Ma, Chaoqun ; Wu, Hui ; Yue, Shengjie. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09929-4.

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2020The global minimum variance hedge. (2020). Chiu, Wan-Yi . In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:2:d:10.1007_s11147-019-09159-8.

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2021Mean-variance hedging in the presence of estimation risk. (2021). Chiu, Wan-Yi. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:3:d:10.1007_s11147-021-09176-6.

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2021Pricing vulnerable options with jump risk and liquidity risk. (2021). Wang, Xingchun. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:3:d:10.1007_s11147-021-09177-5.

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2022Valuing fade-in options with default risk in Heston–Nandi GARCH models. (2022). Wang, Xingchun. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:1:d:10.1007_s11147-021-09179-3.

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2020On the Market Timing of Hedging: Evidence from U.S. Oil and Gas Producers. (2020). Yan, Claire J ; Xie, Kangzhen ; Li, Yongjia ; Hong, Liu. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:1:d:10.1007_s11156-019-00790-y.

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2020News announcements and price discovery in the RMB–USD market. (2020). Chen, Yu-Lun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-019-00832-5.

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2020Financial econometrics, mathematics, statistics, and financial technology: an overall view. (2020). Lee, Chengfew. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-020-00883-z.

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2021Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets. (2021). Wen, Fenghua ; Li, Steven ; Hou, Yang. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00940-7.

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2022Analytical pricing formulae for vulnerable vanilla and barrier options. (2022). Wang, Chuan-Ju ; Chiu, Chun-Yuan ; Liu, Liang-Chih ; Chang, Hao-Han ; Dai, Tian-Shyr. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:1:d:10.1007_s11156-021-00990-5.

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2020Is the market surprised by the surprise?. (2020). Petracci, Barbara ; Olugbode, Mojisola ; Kyaw, Khine. In: International Journal of Disclosure and Governance. RePEc:pal:ijodag:v:17:y:2020:i:1:d:10.1057_s41310-020-00071-4.

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2020On the Stationarity of Futures Hedge Ratios. (2020). Degiannakis, Stavros ; Vougas, Dimitrios ; Salvador, Enrique ; Floros, Christos. In: MPRA Paper. RePEc:pra:mprapa:102907.

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2020Textual Information and IPO Underpricing: A Machine Learning Approach. (2020). Leledakis, George ; Androutsopoulos, Ion ; Katsafados, Apostolos G ; Pyrgiotakis, Emmanouil G ; Fergadiotis, Manos ; Chalkidis, Ilias. In: MPRA Paper. RePEc:pra:mprapa:103813.

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2020OPEC News and Jumps in the Oil Market. (2020). Yoon, Seong-Min ; Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202053.

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2022Determinants of NMD Pass-Through Rates in Eurozone Countries. (2022). Witzany, Jiří ; Fiura, Milan. In: FFA Working Papers. RePEc:prg:jnlwps:v:4:y:2022:id:4.004.

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2020Mutual Fund Participation in IPOs: Thai Evidence. (2020). Sthienchoak, Jananya ; Saengchote, Kanis. In: PIER Discussion Papers. RePEc:pui:dpaper:131.

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2020.

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2022Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions. (2022). Madaleno, Mara ; Pinho, Carlos ; Amaro, Raphael. In: Applied Econometrics. RePEc:ris:apltrx:0440.

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2020.

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2021Optimal quantile hedging under Markov regime switching. (2021). Yu, Xiaojian ; Wang, Ziling ; Lien, Donald. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01831-5.

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2021Can the Baidu Index predict realized volatility in the Chinese stock market?. (2021). Yan, Kai ; Zhang, Wei ; Shen, Dehua. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00216-y.

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2020Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty. (2020). SADEFO, Jules ; Moumouni, Zoulkiflou. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:3:d:10.1007_s40953-020-00206-y.

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2020The Age of Cheap Money and Passive Investing: Are Pro Forma Earnings Value Relevant?. (2020). Meier, Florian. In: Journal of Finance and Investment Analysis. RePEc:spt:fininv:v:9:y:2020:i:2:f:9_2_1.

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2020Non-Normal Identification for Price Discovery in High-Frequency Financial Markets. (2020). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2020/28.

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2020Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets. (2020). Hasan, Mohammad S ; Alexandridis, Antonios K. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:25:y:2020:i:4:p:518-546.

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2021Are bank risk disclosures informative? Evidence from debt markets. (2021). Ntim, Collins G ; Elamer, Ahmed A ; Awad, Awad Elsayed ; Elmagrhi, Mohamed ; Owusu, Andrews ; Abdou, Hussein A. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1270-1298.

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2022Volatility forecasting revisited using Markov?switching with time?varying probability transition. (2022). Chen, Zhonglu ; Liang, Chao ; Ma, Feng ; Wang, Jiqian. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1387-1400.

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2020Night trading and market quality: Evidence from Chinese and US precious metal futures markets. (2020). Liu, Xiaoquan ; Kellard, Neil ; Jiang, Ying. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1486-1507.

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2020BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness. (2020). Sohn, Sungbin ; Park, Heungju ; Choi, Jaehyuk ; Alexander, Carol. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:23-43.

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2020Pricing VIX options with volatility clustering. (2020). Jing, BO ; Ma, Yong ; Li, Shenghong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:928-944.

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2020Optimal futures hedging for energy commodities: An application of the GAS model. (2020). Xu, Yingying ; Lien, Donald. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1090-1108.

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2020Metal prices made in China? A network analysis of industrial metal futures. (2020). Siklos, Pierre L ; Wellenreuther, Claudia ; Stefan, Martin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:9:p:1354-1374.

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2021Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896. (2021). Sulewski, Christoph ; Siklos, Pierre L ; Putz, Alexander ; Bohl, Martin T. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:226-244.

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2021Quantile information share under Markov regime?switching. (2021). Yu, Xiaojian ; Wang, Ziling ; Lien, Donald. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:493-513.

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2021VIX term structure: The role of jump propagation risks. (2021). Chen, JI ; Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:785-810.

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2021Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange?traded fund?. (2021). Diesting, Florent ; Sobti, Neharika ; Sehgal, Sanjay. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1092-1123.

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2022Robust information share measures with an application on the international crude oil markets. (2022). Shi, Yanlin ; Li, Hong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:4:p:555-579.

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2022Pricing vulnerable options under correlated skew Brownian motions. (2022). Wang, Xingchun ; Guo, Che. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:852-867.

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Works by Keshab Shrestha:


YearTitleTypeCited
1989Empirical Measurement of an Inflation Index: A Multiple-Indicators Distributed-Lag Approach. In: Journal of Business & Economic Statistics.
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2019Forecasting realised volatility: a Markov switching approach with time?varying transition probabilities In: Accounting and Finance.
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article5
2021Multifractal Detrended Fluctuation Analysis of Return on Bitcoin In: International Review of Finance.
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2008Insider Trading and Earnings Management In: Journal of Business Finance & Accounting.
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article15
2014Misvaluation and Insider Trading Incentives for Accrual-based and Real Earnings Management In: Journal of Business Finance & Accounting.
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article6
2002Are Expected Inflation Rates and Expected Real Rates Negatively Correlated? A Long?Run Test of the Mundell?Tobin Hypothesis In: Journal of Financial Research.
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article7
2020DO STOCK MARKET FLUCTUATIONS AFFECT SUICIDE RATES? In: Journal of Financial Research.
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2021An Institutional Isomorphism Perspective of Tourism Impact In: Annals of Tourism Research.
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2011Cross-country IPOs: What explains differences in underpricing? In: Journal of Corporate Finance.
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article39
1986The lag relationship between producer and consumer prices : An unobservable variable approach In: Economics Letters.
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article0
1987Multiple Cause Model with autocorrelated errors : A gain in efficiency analysis In: Economics Letters.
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article0
1988Estimation of a general linear model with an unobservable stochastic variable In: Economics Letters.
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article0
2014Price discovery in energy markets In: Energy Economics.
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article20
2017Pure martingale and joint normality tests for energy futures contracts In: Energy Economics.
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article2
2018Quantile hedge ratio for energy markets In: Energy Economics.
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article8
2006Monetary transmission via the administered interest rates channel In: Journal of Banking & Finance.
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article38
2013The differential effects of classified boards on firm value In: Journal of Banking & Finance.
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article8
2020Pricing and hedging foreign equity options under Hawkes jump–diffusion processes In: Physica A: Statistical Mechanics and its Applications.
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2003Futures hedge ratios: a review In: The Quarterly Review of Economics and Finance.
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article78
2008Do the pure martingale and joint normality hypotheses hold for futures contracts: Implications for the optimal hedge ratios In: The Quarterly Review of Economics and Finance.
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2008Hedging effectiveness comparisons: A note In: International Review of Economics & Finance.
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article11
1999Equality of Real Returns on Canadian and US Treasury Bills: A Fractional Cointegration Analysis. In: Review of Quantitative Finance and Accounting.
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article0
2001Relationship between Expected Treasury Bill and Eurodollar Interest Rates: A Fractional Cointegration Analysis. In: Review of Quantitative Finance and Accounting.
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article1
2004Nonlinear Models in Corporate Finance Research: Review, Critique, and Extensions In: Review of Quantitative Finance and Accounting.
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article14
2005Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets In: Review of Quantitative Finance and Accounting.
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article5
2007Relationship between Treasury bills and Eurodollars: Theoretical and Empirical Analyses In: Review of Quantitative Finance and Accounting.
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article0
2021The impact of financial regulation on the stickiness of credit card lending rate: evidence from the USA In: Review of Quantitative Finance and Accounting.
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2020Price Discovery in Agricultural Markets In: American Business Review.
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article0
2020Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process In: American Business Review.
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1996Wage discrimination: a statistical test In: Applied Economics Letters.
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article2
2010Estimating optimal hedge ratio: a multivariate skew-normal distribution approach In: Applied Financial Economics.
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article6
2016Corporate Governance and the Information Content of Earnings Announcements: A Cross†Country Analysis In: Contemporary Accounting Research.
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article4
2001On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratio In: Journal of Futures Markets.
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article2
2004An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short? and long?run hedge ratios In: Journal of Futures Markets.
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article10
2005Estimating the optimal hedge ratio with focus information criterion In: Journal of Futures Markets.
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article3
2007An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis In: Journal of Futures Markets.
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article22
2009A new information share measure In: Journal of Futures Markets.
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article54
2014Price Discovery in Interrelated Markets In: Journal of Futures Markets.
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article22
2016Quantile Estimation of Optimal Hedge Ratio In: Journal of Futures Markets.
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article5
2017Pricing Vulnerable Options with Jump Clustering In: Journal of Futures Markets.
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article10
2012THE EFFECTS OF PRICE DYNAMICS ON OPTIMAL FUTURES HEDGING In: Annals of Financial Economics (AFE).
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